Coverart for item
The Resource State-space models with regime switching : classical and Gibbs-sampling approaches with applications, Chang-Jin Kim and Charles R. Nelson

State-space models with regime switching : classical and Gibbs-sampling approaches with applications, Chang-Jin Kim and Charles R. Nelson

Label
State-space models with regime switching : classical and Gibbs-sampling approaches with applications
Title
State-space models with regime switching
Title remainder
classical and Gibbs-sampling approaches with applications
Statement of responsibility
Chang-Jin Kim and Charles R. Nelson
Creator
Contributor
Subject
Genre
Language
eng
Summary
"Both state-space models and Markov-switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data."--Jacket
Member of
Cataloging source
N$T
http://library.link/vocab/creatorDate
1960-
http://library.link/vocab/creatorName
Kim, Chang-Jin
Dewey number
330/.01/5118
Illustrations
illustrations
Index
index present
LC call number
HB135
LC item number
.K515 1999eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Nelson, Charles R
Series statement
The MIT Press Ser
http://library.link/vocab/subjectName
  • Economics
  • State-space methods
  • Heteroscedasticity
  • Sampling (Statistics)
  • Econometrics
  • Markov processes
  • Econometric models
  • BUSINESS & ECONOMICS
  • Econometric models
  • Econometrics
  • Economics
  • Heteroscedasticity
  • Markov processes
  • Sampling (Statistics)
  • State-space methods
Label
State-space models with regime switching : classical and Gibbs-sampling approaches with applications, Chang-Jin Kim and Charles R. Nelson
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Time-Varying-Parameter Models and the Kalman Filter
  • State-Space Models and the Kalman Filter
  • Application 1: A Decomposition of Real GDP and the Unemployment Rate into Stochastic Trend and Transitory Components
  • Application 2: An Application of the Time-Varying-Parameter Model to Modeling Changing Conditional Variance
  • Application 3: Stock and Watson's Dynamic Factor Model of the Coincident Economic Indicators
  • GAUSS Programs to Accompany Chapter 3
  • Markov-Switching Models
  • Introduction: Serially Uncorrelated Data and Switching
  • Serially Correlated Data and Markov Switching
  • Issues Related to Markov-Switching Models
  • State-Space Models and Markov Switching in Econometrics: A Brief History
  • Application 1: Hamilton's Markov-Switching Model of Business Fluctuations
  • Application 2: A Unit Root in a Three-State Markov-Switching Model of the Real Interest Rate
  • Application 3: A Three-State Markov-Switching Variance Model of Stock Returns
  • GAUSS Programs to Accompany Chapter 4
  • State-Space Models with Markov Switching
  • Specification of the Model
  • The Basic Filter and Estimation of the Model
  • Smoothing
  • An Evaluation of the Kim Filter and Approximate MLE
  • Computer Programs and Data
  • The Classical Approach
  • The Maximum Likelihood Estimation Method: Practical Issues
  • Maximum Likelihood Estimation and the Covariance Matrix of OML
  • The Prediction Error Decomposition and the Likelihood Function
  • Parameter Constraints and the Covariance Matrix of OML
  • State-Space Models and the Kalman Filter
Control code
43475778
Dimensions
unknown
Extent
1 online resource (xii, 297 pages)
Form of item
online
Isbn
9780585087160
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
  • 6444
  • 9780262277112
Specific material designation
remote
System control number
(OCoLC)43475778
Label
State-space models with regime switching : classical and Gibbs-sampling approaches with applications, Chang-Jin Kim and Charles R. Nelson
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Time-Varying-Parameter Models and the Kalman Filter
  • State-Space Models and the Kalman Filter
  • Application 1: A Decomposition of Real GDP and the Unemployment Rate into Stochastic Trend and Transitory Components
  • Application 2: An Application of the Time-Varying-Parameter Model to Modeling Changing Conditional Variance
  • Application 3: Stock and Watson's Dynamic Factor Model of the Coincident Economic Indicators
  • GAUSS Programs to Accompany Chapter 3
  • Markov-Switching Models
  • Introduction: Serially Uncorrelated Data and Switching
  • Serially Correlated Data and Markov Switching
  • Issues Related to Markov-Switching Models
  • State-Space Models and Markov Switching in Econometrics: A Brief History
  • Application 1: Hamilton's Markov-Switching Model of Business Fluctuations
  • Application 2: A Unit Root in a Three-State Markov-Switching Model of the Real Interest Rate
  • Application 3: A Three-State Markov-Switching Variance Model of Stock Returns
  • GAUSS Programs to Accompany Chapter 4
  • State-Space Models with Markov Switching
  • Specification of the Model
  • The Basic Filter and Estimation of the Model
  • Smoothing
  • An Evaluation of the Kim Filter and Approximate MLE
  • Computer Programs and Data
  • The Classical Approach
  • The Maximum Likelihood Estimation Method: Practical Issues
  • Maximum Likelihood Estimation and the Covariance Matrix of OML
  • The Prediction Error Decomposition and the Likelihood Function
  • Parameter Constraints and the Covariance Matrix of OML
  • State-Space Models and the Kalman Filter
Control code
43475778
Dimensions
unknown
Extent
1 online resource (xii, 297 pages)
Form of item
online
Isbn
9780585087160
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
  • 6444
  • 9780262277112
Specific material designation
remote
System control number
(OCoLC)43475778

Library Locations

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      38.710138 -90.311107
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